That is because we identify with the body fully. It is like playing a video game, you feel good when your character is winning, you feel down when it gets killed, even though that game character is not you. This video game called life is fully immersive without VR googles or haptic or shock gloves unfortunately.

Yes. And it is being done so well that we don't question its reality until someone from outside clues us in like what Morpheus did for Thomas Anderson (later known as Neo) in the original Matrix movie.